PROCEEDINGS May 15, 16, 17, 18, 2005 - Casualty Actuarial Society

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238 MODELING FINANCIAL SCENARIOS[42] Tuckman, Bruce, Fixed Income Securities, New York: JohnWiley & Sons, Inc., 1996.[43] Vasicek, Oldrich, “An Equilibrium Characterization of theTerm Structure,” Journal of Financial Economics 5, 1977,pp. 177—188.[44] Wilkie, David, “A Stochastic Investment Model for ActuarialUse,” Transactions of the Faculty of Actuaries 39, 1986,pp. 341—403.[45] Wilkie, David, “More on a Stochastic Model for ActuarialUse,” British Actuarial Journal, 1995, pp. 777—964.[46] Wilmott, Paul, Derivatives: The Theory and Practice of FinancialEngineering, Chichester, England: John Wiley &Sons, 1998.
WHEN CAN ACCIDENT YEARS BE REGARDED ASDEVELOPMENT YEARS?GLEN BARNETT, BEN ZEHNWIRTH AND EUGENE DUBOSSARSKYAbstractThe chain ladder (volume-weighted average developmentfactor) is perhaps the most widely used of the linkratio (age-to-age development factor) techniques, beingpopular among actuaries in many countries. The chainladder technique has a number of interesting properties.We present one such property, which indicates that thechain ladder doesn’t distinguish between accident yearsand development years. While we have not seen a proofof this property in English language journals, it appearsin Dannenburg, Kaas and Usman [2]. The result is alsodiscussed in Kaas et al. [3]. We give a simple proof thatthe chain ladder possesses this property and discuss itsimplications for the chain ladder technique. It becomesclear that the chain ladder does not capture the structureof real triangles.1. INTRODUCTIONLink ratio (loss development factor) methods are widely usedfor reserving. The chain ladder technique is one such method appliedto cumulative paid loss (or sometimes case incurred loss).The development factor is an average of the individual link ratios,weighted by the previous cumulative loss (volume-weightedaverage). The chain ladder is normally applied to cumulatedpaid loss arrays, incurred loss arrays, or sometimes to cumulatedclaim numbers, such as claims incurred, claims notified orclaims closed. This “formal” chain ladder is described by Mackin [5], but we give a detailed description of it below. We presentthe chain ladder for a paid loss array with annual data; the expo-239
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VOLUME XCII NUMBERS 176 and 177PROC
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FOREWORDActuarial science originate
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2005 PROCEEDINGSCONTENTS OF VOLUME
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2005 PROCEEDINGSCONTENTS OF VOLUME
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Editorial Committee, Proceedings Ed
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2 AN EXAMINATION OF THE INFLUENCE O
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10 AN EXAMINATION OF THE INFLUENCE
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AN EXAMINATION OF THE INFLUENCE OF
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RISKINESS LEVERAGE MODELSRODNEY KRE
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RISKINESS LEVERAGE MODELS 33There a
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RISKINESS LEVERAGE MODELS 35where f
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RISKINESS LEVERAGE MODELS 37where a
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RISKINESS LEVERAGE MODELS 39Various
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RISKINESS LEVERAGE MODELS 49The las
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RISKINESS LEVERAGE MODELS 51ple. Th
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RISKINESS LEVERAGE MODELS 53the TVA
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RISKINESS LEVERAGE MODELS 55We also
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RISKINESS LEVERAGE MODELS 57Mean Va
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RISKINESS LEVERAGE MODELS 59APPENDI
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DISCUSSION OF A PAPER PRESENTED AT
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RISKINESS LEVERAGE MODELS 63known t
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RISKINESS LEVERAGE MODELS 65to be a
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RISKINESS LEVERAGE MODELS 67implies
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RISKINESS LEVERAGE MODELS 69bad res
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RISKINESS LEVERAGE MODELS 71a maxim
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RISKINESS LEVERAGE MODELS 734. INTE
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RISKINESS LEVERAGE MODELS 75the two
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RISKINESS LEVERAGE MODELS 79REFEREN
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RISKINESS LEVERAGE MODELS 81EXHIBIT
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RISKINESS LEVERAGE MODELS 83
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WHY LARGER RISKS HAVE SMALLER INSUR
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ADDRESS TO NEW MEMBERS 151ateship a
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ADDRESS TO NEW MEMBERS 153You shoul
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ADDRESS TO NEW MEMBERS 155strength
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MINUTES OF THE 2005 CAS SPRING MEET
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MINUTES OF THE 2005 SPRING MEETING
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Volume XCII, Part 2 No. 177PROCEEDI
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MODELING FINANCIAL SCENARIOS 179Bab
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THE APPLICATION OF FUNDAMENTAL VALU
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A NEW METHOD OF ESTIMATING LOSS RES
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ARCHITECTURE FOR RESIDENTIAL PROPER
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ESTIMATING THE WORKERS COMPENSATION
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INCORPORATION OF FIXED EXPENSESGEOF
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DISCUSSION OF PAPER PUBLISHED INVOL
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APPLICATION OF THE OPTION MARKET PA
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THE “MODIFIED BORNHUETTER-FERGUSO
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ADDRESS TO NEW MEMBERS-NOVEMBER 14,
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ADDRESS TO NEW MEMBERS 743Now to an
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PRESIDENTIAL ADDRESS-NOVEMBER 14, 2
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PRESIDENTIAL ADDRESS 747use of thes
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PRESIDENTIAL ADDRESS 749just lookin
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PRESIDENTIAL ADDRESS 751The quantif
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PRESIDENTIAL ADDRESS 753me keep my
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MINUTES OF THE 2005 CAS ANNUAL MEET
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REPORT OF THE VICE PRESIDENT—ADMI
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REPORT OF THE VICE PRESIDENT-ADMINI
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2005 EXAMINATIONS—SUCCESSFUL CAND
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OBITUARIESROBERT GRANT ESPIECLYDE H
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OBITUARIES 825SIDNEY M. HAMMER1931
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OBITUARIES 827J. GARY LaROSE1947—
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OBITUARIES 829PAUL J. SCHEEL SR.193
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OBITUARIES 831LEO M. STANKUSCirca 1
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INDEX TO VOLUME XCIIPage2005 EXAMIN
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835GRAVES, CLYDE H.INDEX—CONTINUE
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837INDEX—CONTINUEDREPORT OF THE V
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PROCEEDINGS May 15, 16, 17, 18, 2005 - Casualty Actuarial Society

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